Testing Stochastic Cycles in Macroeconomic Time Series

By L. A. Gil-Alana. 2001

148 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/9c5bd755659458893889e7ad1a0de5d3195749bb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. C. Cuestas
2. L. Gil‐Alana
3. Gang Li
4. Haiyan Song

In Finance

1. J. C. Cuestas
2. L. Gil‐Alana
3. Gang Li
4. Haiyan Song
5. Christian L. E. Franzke

In Statistical and Nonlinear Physics

1. L. Gil‐Alana
2. J. C. Cuestas

Citations in the corpus

• Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (2016, unknown): “However, noting that in this context M = 1, we can consider one-sided alternatives such as Ha:d < do or d > do, and then, consider the test statistic: 2 ˆˆˆ , ˆˆ T ar R A = = σ (15) which is asymptotically distributed as ˆ ( 0,1) as .dr N T→ →∞ (16) See Robinson (1994).”
• A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials (2012, methodology): “In particular, we consider the following data generation process (DGP): 3 See Gil-Alana (2004) for an explanation of the accommodation of the model of Bloomfield (1973) in the context of fractional integration, and more in particular, in the context of the tests of Robinson (1994).”